liquidity risk factor. Results show that the level of bank returns is not directly affected by the SLRI, but their volatility … increases when liquidity conditions deteriorate. I do not find a strong association between bank size and exposure to the SLRI …I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several …

. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which … testing of solvency and liquidity: our approach exploits the mechanisms underlying the solvency-liquidity nexus to derive … relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a …

developing countries across the world. We analyze the impact of this shift into services on countries' efficiency in collecting … the value-added tax (VAT). The analysis is based on two alternative measures of VAT efficiency: (1) the VAT C-efficiency … 2004-2016. We find that a higher share of services in aggregate value-added reduces the VAT efficiency, and that this …

intraday credit exposures that arises in net settlement systems and in real-time gross systems when the central bank provides …

Quantitative easing could improve market liquidity through many channels such as relaxing bank funding constraints …) effects of the Bank of Japan (BOJ)'s JGB purchases on market liquidity. Moreover, we also find evidence that such scarcity …, increasing risk appetite, and facilitating trades. However, it can also reduce market liquidity when the increase in the central …

This paper examines the drivers of liquidity shortages in the Mexican government bond market. We use unique transaction …- and quote level data with information on end-investors to construct an index of bond market liquidity. We find that … liquidity remained stable in recent years, although temporary shortages arose amid domestic and global market stress. The …

Much recent commentary suggests that global liquidity has influenced financial conditions in the major international … markets to an important degree, and that excess liquidity in one financial center can influence financial conditions elsewhere …. Little formal research has addressed these issues, however. In this paper, we use three indexes of liquidity (money growth …

This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging … evidence of an historical increase in market liquidity since the early 1990s, in part as a result of advances in international … financial integration, but markets have been increasingly exposed to global systemic liquidity shocks. Second, liquidity …

We formulate the “High Liquidity Creation Hypothesis” (HLCH) that a proliferation in the core activity of bank … creation measures as a comprehensive proxy for overall bank output, we find that high liquidity creation significantly … liquidity creation increases failure probability. We test the HLCH in the context of Russian banking, which provides a natural …

and liquidity needs facing the U.S. corporate sector based on projections of net income, availability and cost of funding … segment and the relatively long duration of that sector's debt, the near-term liquidity needs of these corporates appear …